Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide

by Ion Manda, John Aquilina, Niels Charpillon, et al.

Book Overview

Methodology.- Modelling Framework.- Simulation Models.- Valuation and Sensitivities.- Architecture and Implementation.- Computational Framework.- Implementation.- Architecture.- Products.- Interest-Rate Products.- Equity, Commodity, Inflation and FX Products.- Credit Derivatives.- Structures.- Hedging and Managing Counterparty Risk.- Counterparty Risk Aggregation and Risk Mitigation.- Combining Market and Credit Risk.- Pricing Counterparty Credit...

• Format: Paperback
• Language: English
• ISBN: 3642262082
• ISBN13: 9783642262081
• Release Date: March 2012
• Publisher: Springer
• Length: 254 Pages
• Weight: 0.86 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"